Anders Fornell: Risk assessment and capital requirements under Basel II
Anders Fornell, Department of statistics, Stockholm university
Time: Wed 2013-02-20 13.00 - 14.00
Location: Room B705, Department of statistics, Stockholm university
The presentation will contain a brief introduction to capital requirements under the Basel II framework, the reasoning behind it and some of its consequences and assumptions. After a presentation of data, a risk assessment model of individual accounts utilizing an accounting based methodology will be shown, as well as the aggregation into risk weighted portfolios. Further, I will demonstrate how one can construct a trough-the-cycle risk assessment model and how it relates back to a common factor.
References
Basel Committee on banking supervision (1999). Credit Risk Modelling: Current Practice and Applications.
Basel Committee on banking supervision (2004). International Convergence of Capital Measurement and Capital Standards, a revisited framework.
Finansinspektionen (2007). Finansinspektionens författningssamling FFFS 2007:1, The legal interpretation of the Basel II framework in Sweden.
Gordy, M. B. (2003). A risk-factor model foundation for rating-based bank capital rules. Journal of Financial Intermediation, 12, 199-232.
Ohlson, J. A. (1980). Financial ratios and the probabilistic prediction of bankruptcy. Journal of Accounting Research, 18, 109-131.
Vasicek, O (1977). An Equilibrium Characterisation of the Term Structure. Journal of Financial Economics, 5, 177-188.